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4

The application of machine learning to enhance the prediction or forecasting performance of financial models using historical data-driven algorithms (like boosting, support vector machine) has been unable to entirely close the gap between in-sample and out-of-sample performance. Unanswered questions dealing with models fitted using train/test split or other ...


5

Research into leveraging machine learning to speed up models seems to be gaining traction. This can be useful in computationally-expensive problems such as Greeks for products valued through Monte-Carlo, the pricing of valuation adjustments (CVA, FVA, etc.) or optimal collateral posting. See for example Huge & Savine (2020), Itkin (2020), Henry-Labordère ...


3

One of the greatest question (which is not only linked to quantitative finance) is, whether $P=NP$. Maymin (2002) found out that markets are efficient if and only if $P=NP$. So one could finally pin that discussion once and for all.


8

As far as empirical asset pricing goes, there occurs to be a replication crisis, similar to other social sciences. Many published results, factors and anomalies cannot be replicated, others don't hold in extended samples or international markets. This questions what we really know about the cross section of returns. Harvey, Liu and Zhu (2016, RFS): We argue ...


8

The most pressing topic in the interest rate world is the modelling of the New RFRs (SOFR, SONIA, ESTR etc) as part of the IBOR transition. New products are being developed, models for pricing these products need to be developed (or existing models adapted), and risk models need to be calibrated using limited data. This is probably the biggest development ...


4

This question will probably get closed soon, but I'll take a stab at answering anyway. I think, for an undergraduate, an interesting topic would be the FX-credit hybrids, that is, FX options (or even linear products like FX forwards and xccy swaps) with kick-in or kick-out on a credit event. For example - I want (the right) to exchange USD into EUR at some ...


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